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arXiv:2303.06719

A quantum spectral method for simulating stochastic processes, with applications to Monte Carlo

Adam Bouland, Aditi Dandapani, Anupam Prakash

Published Mar 12, 2023• 0 citations
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Abstract

Stochastic processes play a fundamental role in physics, mathematics, engineering and finance. One potential application of quantum computation is to better approximate properties of stochastic processes. For example, quantum algorithms for Monte Carlo estimation combine a quantum simulation of a stochastic process with amplitude estimation to improve mean estimation. In this work we study quantum algorithms for simulating stochastic processes which are compatible with Monte Carlo methods. We introduce a new ``analog'' quantum representation of stochastic processes, in which the value of the process at time t is stored in the amplitude of the quantum state, enabling an exponentially efficient encoding of process trajectories. We show that this representation allows for highly efficient quantum algorithms for simulating certain stochastic processes, using spectral properties of these processes combined with the quantum Fourier transform. In particular, we show that we can simulate $T$ timesteps of fractional Brownian motion using a quantum circuit with gate complexity $\text{polylog}(T)$, which coherently prepares the superposition over Brownian paths. We then show this can be combined with quantum mean estimation to create end to end algorithms for estimating certain time averages over processes in time $O(\text{polylog}(T)ε^{-c})$ where $3/2

DOI
10.48550/arxiv.2303.06719

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Abstract Discrete stochastic processes (DSP) are instrumental for modeling the dynamics of probabilistic systems and have a wide spectrum of applications in science and engineering. DSPs are usually analyzed via Monte-Carlo methods since the number of realizations increases exponentially with the number of time steps, and importance sampling is often required to reduce the variance. We propose a quantum algorithm for calculating the characteristic function of a DSP, which completely defines its probability distribution, using the number of quantum circuit elements that grows only linearly with the number of time steps. The quantum algorithm reduces the Monte-Carlo sampling to a Bernoulli trial while taking all stochastic trajectories into account. This approach guarantees the optimal variance without the need for importance sampling. The algorithm can be further furnished with the quantum amplitude estimation algorithm to provide quadratic speed-up in sampling. The Fourier approximation can be used to estimate an expectation value of any integrable function of the random variable. Applications in finance and correlated random walks are presented. Proof-of-principle experiments are performed using the IBM quantum cloud platform.
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The famous least squares Monte Carlo (LSM) algorithm combines linear least square regression with Monte Carlo simulation to approximately solve problems in stochastic optimal stopping theory. In this work, we propose a quantum LSM based on quantum access to a stochastic process, on quantum circuits for computing the optimal stopping times, and on quantum Monte Carlo techniques. For this algorithm we elucidate the intricate interplay of function approximation and quantum Monte Carlo algorithms. Our algorithm achieves a nearly quadratic speedup in the runtime compared to the LSM algorithm under some mild assumptions. Specifically, our quantum algorithm can be applied to American option pricing and we analyze a case study for the common situation of Brownian motion and geometric Brownian motion processes.